Generally speaking, there are more flights to more destinations from Hong Kong than from airports in mainland China. So transferring at Hong Kong is unsurprising - this is just the same as happens wherever there is a big and busy international airport.

Also, I believe that CX and Dragonair don't have any rights to fly from mainland China airports to non-Chinese destinations. So their international pax have to transfer at Hong Kong. Moreover, many pax will be flying to/from mainland China airports that aren't likely to have many international flights in the foreseeable future, so transferring somewhere is almost certainly going to continue. There are only a few mainland China airports that can support significant numbers of international flights at present.